Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0008
Annualized Std Dev 0.0844
Annualized Sharpe (Rf=0%) -0.0098

Row

Daily Return Statistics

Close
Observations 3544.0000
NAs 1.0000
Minimum -0.0379
Quartile 1 -0.0028
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0028
Maximum 0.0406
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0002
Variance 0.0000
Stdev 0.0053
Skewness 0.0222
Kurtosis 5.0201

Downside Risk

Close
Semi Deviation 0.0038
Gain Deviation 0.0037
Loss Deviation 0.0037
Downside Deviation (MAR=210%) 0.0098
Downside Deviation (Rf=0%) 0.0037
Downside Deviation (0%) 0.0037
Maximum Drawdown 0.2271
Historical VaR (95%) -0.0082
Historical ES (95%) -0.0120
Modified VaR (95%) -0.0082
Modified ES (95%) -0.0124
From Trough To Depth Length To Trough Recovery
2008-11-21 2011-08-29 2019-09-30 -0.2271 2731 697 2034
2020-03-20 2021-01-06 NA -0.1424 253 202 NA
2007-06-15 2008-04-16 2008-10-15 -0.1189 338 211 127
2019-10-01 2020-03-09 2020-03-13 -0.0502 114 110 4
2020-03-16 2020-03-16 2020-03-18 -0.0321 3 1 2

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA 0.1 -0.3 0.6 0 -0.6 0 -0.2 0.1 0.3 0.8 0.6 1.5
2008 0.4 0 1.6 0.8 -0.1 -0.1 0.3 0 0.4 1.5 0.6 0.4 6
2009 0.6 0.3 0.1 -0.2 -0.3 -0.5 -1.3 0.6 0.7 0.6 -0.5 0.2 0.3
2010 -0.4 0.3 -0.6 -0.2 0 -1.8 0 -0.8 -0.8 0.2 -0.9 -0.9 -5.7
2011 -1 0.1 -0.1 0 0.2 -0.1 0.5 0.4 1 1.1 0 -0.2 2
2012 -0.5 0 -0.1 0.1 -0.3 -1.4 0.7 -0.6 -0.2 0.1 -0.1 0.1 -2.1
2013 -0.1 0.3 -0.4 -0.1 0.3 -0.2 0.8 0.1 -0.1 0.6 -0.1 0.1 1.3
2014 0.3 -0.7 0 0 -0.2 0 -0.1 0.2 -0.1 0.8 -0.5 0.3 0
2015 0.1 0 0 0.5 0.6 0.8 -0.3 -0.6 0 -0.4 -0.5 0.5 0.8
2016 -0.7 0 0 -0.7 -0.6 -0.3 0.3 -0.4 0 -0.5 -0.5 -0.3 -3.7
2017 0.1 0.7 0 0.1 0.1 0.2 0.2 0.2 -0.1 0.2 -0.1 -0.4 1.1
2018 -0.5 -0.3 -0.1 0.7 0.2 -0.8 0.1 0.4 0.2 -0.7 0.4 -0.2 -0.7
2019 0 0.4 -0.1 0.1 -0.4 0.7 -0.3 0.4 -0.3 0 -0.1 -0.3 0.1
2020 -0.4 -0.3 0.6 0.1 -0.6 -0.2 0.6 0.2 -0.2 0.1 -0.9 0.3 -0.6
2021 0.5 0.1 0 NA NA NA NA NA NA NA NA NA 0.6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-02-20  25.1 SPY    146.  0.0021   0.0181   0.0225   0.043     0.131    0.263    0.317 GLD    65.3 -0.0158  -0.0055
2 2007-02-21  25.1 SPY    146. -0.0004   0.0091   0.0253   0.0399    0.133    0.267    0.342 GLD    67.3  0.0302   0.0219
3 2007-02-22  25.1 SPY    146. -0.0008   0.0018   0.0215   0.0388    0.135    0.270    0.319 GLD    67.2 -0.0019   0.0118
4 2007-02-23  25.0 SPY    145. -0.0039  -0.0034   0.0094   0.0342    0.124    0.268    0.342 GLD    67.7  0.0085   0.0197
5 2007-02-26  25.0 SPY    145. -0.0009  -0.0038   0.0205   0.0322    0.125    0.269    0.324 GLD    68.1  0.0056   0.0262
6 2007-02-27  24.9 SPY    140. -0.0391  -0.0448  -0.0187  -0.0101    0.078    0.214    0.252 GLD    65.4 -0.0395   0.0015
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart